Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0218 |
| Annualized Std Dev | 0.2328 |
| Annualized Sharpe (Rf=0%) | 0.0937 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3685.0000 |
| NAs | 1.0000 |
| Minimum | -0.1375 |
| Quartile 1 | -0.0059 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0075 |
| Maximum | 0.0930 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -1.2583 |
| Kurtosis | 10.2584 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.7435 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0384 |
| Modified VaR (95%) | -0.0257 |
| Modified ES (95%) | -0.0648 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7435 | 3455 | 443 | NA |
| 2007-02-27 | 2007-03-05 | 2007-03-21 | -0.1006 | 17 | 5 | 12 |
| 2006-07-05 | 2006-07-19 | 2006-07-31 | -0.0410 | 13 | 7 | 6 |
| 2006-08-22 | 2006-09-11 | 2006-09-22 | -0.0320 | 23 | 14 | 9 |
| 2007-05-08 | 2007-05-10 | 2007-05-18 | -0.0235 | 9 | 3 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 4.2 | -0.1 | 0.6 | -0.1 | 0 | 0.6 | -0.3 | 4.9 |
| 2007 | 0.6 | -1.4 | 0.5 | 0.3 | 0.4 | -0.3 | 0.8 | 1.8 | 0.2 | -2.3 | 0.4 | -1.6 | -0.7 |
| 2008 | 1.4 | -2.1 | 2.1 | 0.9 | -0.3 | -2.3 | 0.6 | -0.4 | -0.8 | -0.3 | -5.9 | 1.5 | -5.7 |
| 2009 | -0.4 | -0.9 | 1.8 | 1.9 | 2.8 | -1.3 | 1.5 | -2.7 | -2.2 | -4.3 | 2.7 | -0.8 | -2.3 |
| 2010 | 1 | -0.7 | 2.1 | -0.7 | 0.7 | 0.6 | 0.4 | 1.6 | 1.4 | -1.6 | 3.1 | 1.4 | 9.6 |
| 2011 | 1.9 | 1.5 | -0.3 | 0.9 | -0.5 | 0.9 | -1.6 | -1.5 | -2.6 | -3.5 | -1.1 | 0.3 | -5.6 |
| 2012 | 1.3 | 0.6 | 0.9 | 1.6 | -2.9 | 5.1 | 0.5 | 0.8 | 0.5 | 0.8 | 0.5 | 2.3 | 12.6 |
| 2013 | 1.6 | -0.9 | -0.3 | -0.3 | -1.5 | 0.8 | 1 | -0.8 | 1 | -0.6 | 0.5 | 0.5 | 1.1 |
| 2014 | -1.2 | 1 | 1.4 | -0.3 | 0.3 | 0.9 | -1 | -0.3 | -1.3 | 0.9 | 0 | -0.8 | -0.4 |
| 2015 | -0.5 | 0.4 | 0.6 | 0.4 | -0.6 | 0.3 | 0.6 | -2 | 0.4 | 0.4 | 1.3 | -1.2 | 0.2 |
| 2016 | 0.6 | 2.4 | -0.3 | 0.4 | 0 | 0.3 | -1.5 | 1.5 | 1 | -0.1 | 0.4 | 0.6 | 5.4 |
| 2017 | 0.8 | 0.6 | 0.4 | 0.4 | 0.9 | 0.6 | 0.4 | 0.6 | 1 | 0.1 | -0.1 | 0.4 | 6.5 |
| 2018 | 0.7 | -0.9 | 0.6 | -0.4 | 0.8 | 0.8 | -0.3 | -0.5 | 0.2 | 2.4 | -0.7 | 0.9 | 3.5 |
| 2019 | -0.3 | 1.4 | 1.4 | -0.6 | -0.5 | 0.3 | -0.8 | 0.4 | -0.6 | 1.3 | -0.2 | 0.9 | 2.9 |
| 2020 | -0.8 | -0.2 | -3.9 | -2 | 2.1 | 0.4 | -1.5 | -0.1 | 1.1 | 0.7 | 3.1 | -0.4 | -1.8 |
| 2021 | 1.4 | 1.7 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
